Enhancing Bank Value-at-Risk (VaR) Pricing Model
The bank’s VAR pricing model was taking too long to run.
The complex VAR model ran on an expensive grid, would take 50+ hours to run and could only run once per week.
Run the VAR model on the ZettaInsights platform, reducing model run time to just 45 minutes, and re-pricing 3 times per day.
ZettaInsights improved decision-making on capital allocation. A 4-5 bps improvement led to $37 million in risk capital being freed up for investment. The client saw an 80% reduction in total operational cost, resulting in $5 million in annual savings.